RS: Ramberg-Schmeiser distribution In VaRES: Computes value at risk and expected shortfall for over 100 parametric distributions

Description

Computes the pdf, cdf, value at risk and expected shortfall for the Ramber-Schmeiser distribution due to Ramberg and Schmeiser (1974) given by

\begin{array}{ll} &\displaystyle {\rm VaR}_p (X) = \frac {p^b - (1 - p)^c}{d}, \\ &\displaystyle {\rm ES}_p (X) = \frac {p^{b}}{d (b + 1)} + \frac {(1 - p)^{c + 1} - 1}{p d (c + 1)} \end{array}

for 0 < p < 1, b > 0, the first shape parameter, c > 0, the second shape parameter, and d > 0, the scale parameter.

Usage

 1 2 varRS(p, b=1, c=1, d=1, log.p=FALSE, lower.tail=TRUE) esRS(p, b=1, c=1, d=1) 

Arguments

 p scaler or vector of values at which the value at risk or expected shortfall needs to be computed d the value of the scale parameter, must be positive, the default is 1 b the value of the first shape parameter, must be positive, the default is 1 c the value of the second shape parameter, must be positive, the default is 1 log if TRUE then log(pdf) are returned log.p if TRUE then log(cdf) are returned and quantiles are computed for exp(p) lower.tail if FALSE then 1-cdf are returned and quantiles are computed for 1-p

Value

An object of the same length as x, giving the pdf or cdf values computed at x or an object of the same length as p, giving the values at risk or expected shortfall computed at p.

Author(s)

 1 2 3 x=runif(10,min=0,max=1) varRS(x) esRS(x)